One of the first things I learnt about Thailand is that amongst Thais, Bangkok is known as Krung Thep – City of Angels. How lovely.
As for Kuala Lumpur, it means muddy estuary 😛 In everyday use though Malaysians refer to it simply as KL. They’ll definitely just say KL when speaking English, or another, shorter derivative when speaking Malay/Cantonese/Tamil etc. Pronounce Kua-la Lum-pur in its entirety with proper diction and you’ll get a knowing look from locals – a-ha, not a Malaysian!